Connelly's big breakthrough was the 2000 film Requiem for a Dream. Connelly starred alongside Jared Leto and Marlon Wayans as heroin addicts on the edge of a breakdown. The film firmly established her as a serious actress. Connelly next starred in Ron Howard's film A Beautiful Mind (2001), essaying the role of Alicia Nash, the long-suffering wife of the brilliant, schizophrenic mathematician John Forbes Nash, Jr. (played by Russell Crowe). The film was a critical and commercial success and earned Connelly a Golden Globe and an Academy Award for Best Supporting Actress. Her appearance in A Beautiful Mind led to a featured article in Time magazine.

Connelly starred in two films in 2003: Hulk and House of Sand and Fog. Hulk was something of a box office disappointment, but afforded Connelly the chance to work with noted director Ang Lee. House of Sand and Fog, based on the novel by Andre Dubus III, was reminiscent of much of her independent film work of the late 1990s. Connelly appeared in the 2005 horror film Dark Water, which was based on a Japanese film. In 2006, Connelly appeared in two films, both of which were nominated for multiple Academy Awards. She played a major role in an adaptation of the novel Little Children alongside Kate Winslet.

Although her role as Kathy Adamson is very important in the novel, director Todd Field gave her character less screen time, instead focusing on the characters played by Winslet and Patrick Wilson. She also played a journalist in Blood Diamond opposite Leonardo DiCaprio. She next appeared in Reservation Road with Joaquin Phoenix, which was given a limited release in the fall of 2007. Connelly next appeared alongside Keanu Reeves in the 2008 remake of the 1951 sci-fi classic The Day The Earth Stood Still. Her 2009 roles include a small independent thriller with her husband Paul Bettany, and a co-starring role opposite Jennifer Aniston and Ginnifer Goodwin in He's Just Not That Into You. In 2008, she was named the face of Balenciaga's ads, as well as the new face for Revlon cosmetics.

• The Ice at the Bottom of the World (2010) (in production) (rumored) .... Vamadela
• American Pastoral (2009) (announced) (rumored) .... Levov's Wife
• Creation (2009) (post-production) .... Emma Darwin
• 9 (2009) (post-production) (voice) .... 7
  
• He's Just Not That Into You (2009) .... Janine
  ... aka Er steht einfach nicht auf Dich! (Germany)
• Inkheart (2008) .... Roxanne
  ... aka Tintenherz (Germany)
• The Day the Earth Stood Still (2008) .... Dr. Helen Benson
  ... aka D.T.E.S.S. (USA: promotional abbreviation)
  ... aka The Day the Earth Stood Still: The IMAX Experience (USA: IMAX version)
• Reservation Road (2007) .... Grace Learner
  ... aka Ein Einziger Augenblick (Germany)
• Blood Diamond (2006) .... Maddy Bowen
  ... aka Blood Diamond (Germany)
• Little Children (2006) .... Kathy Adamson
• Dark Water (2005) .... Dahlia Williams
• House of Sand and Fog (2003) .... Kathy
• Hulk (2003) .... Betty Ross
• A Beautiful Mind (2001) .... Alicia Nash
• "The $treet" .... Catherine Miller (12 episodes, 2000-2001)
       - Framed (2001) TV episode .... Catherine Miller
       - Junk Bonds (2001) TV episode .... Catherine Miller
       - Past Performance (2001) TV episode .... Catherine Miller
       - Turf Wars (2001) TV episode .... Catherine Miller
       - Rebound (2000) TV episode .... Catherine Miller
        (7 more)
• Pollock (2000) .... Ruth Kligman
• Requiem for a Dream (2000) .... Marion Silver
• Waking the Dead (2000) .... Sarah Williams